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Sell 2W EUR/SEK Straddle Ahead Of Swedish CPI

Published 09/24/2018, 08:32 AM
Updated 05/14/2017, 06:45 AM

Impl. NOK vol. has declined across the curve after last week's Norges Bank meeting. NOK vols seem fairly priced in our view.

Impl. EUR/SEK and USD/SEK has ticked higher along with most of the other majors. From a risk/reward perspective, we see value in selling 2W EUR/SEK straddle.

This structure expires before the release of the next Swedish CPI figures (11 Oct.), which could be pivotal for the SEK given the negative CPI surprise in August and not least the Riksbank's rate hike signals.

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